Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0449
Annualized Std Dev 0.2621
Annualized Sharpe (Rf=0%) 0.1714

Row

Daily Return Statistics

Close
Observations 3204.0000
NAs 1.0000
Minimum -0.1356
Quartile 1 -0.0068
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0079
Maximum 0.1203
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0165
Skewness -0.3239
Kurtosis 10.4543

Downside Risk

Close
Semi Deviation 0.0120
Gain Deviation 0.0117
Loss Deviation 0.0133
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0119
Downside Deviation (0%) 0.0119
Maximum Drawdown 0.6384
Historical VaR (95%) -0.0243
Historical ES (95%) -0.0403
Modified VaR (95%) -0.0248
Modified ES (95%) -0.0436
From Trough To Depth Length To Trough Recovery
2008-09-22 2009-03-09 2011-03-30 -0.6384 635 115 520
2018-06-07 2020-03-23 2021-02-08 -0.5239 673 451 222
2011-04-05 2011-10-03 2013-09-18 -0.3523 618 126 492
2015-02-17 2016-02-11 2017-02-15 -0.3083 505 250 255
2014-03-07 2014-10-13 2015-01-26 -0.1220 224 153 71

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA -1.3 -0.1 -0.8 -2 2.9 -9.9 4 -7.5
2009 -3.2 -0.7 1 0.5 3.5 1.4 0.5 -3.2 -2.9 -3.9 2.9 -0.9 -5.4
2010 1.9 2.5 1.8 -1.4 -1.9 0.1 -0.2 3.7 0.9 0.3 2.2 0 10.1
2011 2 -1.7 1 -0.8 -2.8 1.5 -1 -2.4 -3.4 -2.8 -1.2 0 -11.2
2012 1.3 0.9 1 -0.6 -3.1 3.8 -0.9 0.6 -0.3 1.1 0.5 1.5 5.9
2013 0.7 0.6 -0.9 -0.8 -1.7 0.7 1 -1.4 2.2 -0.3 -0.4 0.2 0
2014 -0.8 0.6 0.1 0.2 -0.2 0.1 -0.5 0.3 -0.7 1.3 -0.5 -0.7 -0.8
2015 -0.3 -0.4 -0.1 0.7 -0.2 0.4 0.5 -2.2 0.1 -0.1 -0.2 -1.7 -3.5
2016 0.1 2.5 -0.6 0.1 -0.4 1.9 -0.7 1.2 1.2 -1 -1.1 -0.4 2.9
2017 0.5 1.8 0 0.1 1.4 0.6 0.9 0.5 -0.3 0.9 -0.7 0.5 6.5
2018 0.6 -1.2 1.2 -0.3 1.2 0.8 -0.1 -0.1 -0.1 1.8 -0.3 0.3 3.8
2019 0.6 1.1 2.5 -0.9 -0.4 0.7 -2.2 1.2 -1.1 2 -1.1 0.2 2.6
2020 -1.9 -0.9 -6.1 -4.7 1.4 -0.3 -2.5 1.5 1.5 -1.1 2.9 -0.5 -10.7
2021 2.3 2.4 -0.4 NA NA NA NA NA NA NA NA NA 4.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2008-06-25  48.9 SPY    132.  0.0047  -0.0182  -0.0494  -0.0073   -0.111   0.0997    0.338 GLD    87.4 -6.00e-4  -0.0097
2 2008-06-26  47.6 SPY    128. -0.0272  -0.046   -0.0795  -0.0249   -0.147   0.0777    0.315 GLD    90.6  3.65e-2   0.0248
3 2008-06-27  47.3 SPY    128. -0.0055  -0.0308  -0.0891  -0.0336   -0.152   0.0703    0.291 GLD    91.5  9.50e-3   0.0283
4 2008-06-30  47.3 SPY    128.  0.0035  -0.0264  -0.0881  -0.0632   -0.149   0.0652    0.310 GLD    91.4 -8.00e-4   0.0495
5 2008-07-01  46.7 SPY    128.  0.0031  -0.0214  -0.0757  -0.0609   -0.154   0.0714    0.315 GLD    92.7  1.38e-2   0.0593
6 2008-07-02  46.0 SPY    126. -0.0171  -0.0427  -0.0862  -0.0792   -0.172   0.0587    0.281 GLD    93.2  5.50e-3   0.0658
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart